A bit new to the mod myself, but to get things started I do the following:
* Take the time and talk to the nearby training area NPC (not arena) and do those melee matches. Good to get you about 1-2 levels.
* Your group should have 50 Prussian Fusiliers, more than a match for 100 or so villager NPCs. Take one of the rebelling peasant bands down that are roughly 100-200 in strength. When in combat, pick high ground, preferably with a steep slope the enemy has to climb up in front of your party. At the top, have your soldiers form a line and stay there. The incline should slow down the enemy and give you the chance to fire 2-3 more volleys into their faces as they climb up. As for you, at this point in time, get off the horse (which sucks to begin with) and fight on foot with your soldiers. I usually stay around the sides (for me, the right side of the line as the officer).
* Don't go for more professional enemy parties that are even roughly your party's size. Your character's skills aren't good yet and there's only so much your fusiliers can do against a balanced opponent, especially if they bring cavalry (lancers especially).
* Grab the loot, sell in nearby towns, and also get some badly needed XPs. Among the loot, you can get lots of low quality firearms and basic ammo. Nothing fancy, but it puts guns in your hands and for any characters you recruit.
* If you want to work on Firearms early, leave the musket and pick a pistol when you can. The pistol speed is important for close range fights and getting more shots in. At this stage of the game, your Firearms skill sucks, so save your shots for short to point blank to maximize your chances of hitting. A couple well placed shots in a battle can help jump your Firearms skill up 5-10 pts at the beginning if it starts low enough. I generally avoid melee in the middle of a big fight, since your skills will be low and attacks slow. If you want to get into melee, do so against as few NPCs as possible.
* The main idea is to get yourself much needed XPs, levels, and get the bare bones going for weapons.